A massage apparatus having a connection system for exchanging a prosthetic member is disclosed. The prosthetic member is adapted to receive an outer sleeve therein for providing a sleeve assembly that collectively engages an inner casing defining a chamber having a vibratory component disposed therein. The vibratory component provides a vibrating function and a control cap in operative association with the vibratory component in order to control the operation of the vibratory component. The outer sleeve may define an arrangement of slots and protrusions defined around the outer circumference of the outer sleeve that are adapted to engage respective segments defined around the periphery of the inner casing such that the outer sleeve becomes engaged with the inner casing when the user rotates the outer sleeve relative to the inner casing.